SPX Credit Spread Trader

Quote from uglyboy:

Nice Position.

I've attached a Dec/Jan DD here : showing the effects of time and actual price
More...

Jan 1455 calls aren't available in ToS, how did you get the graph? Did the software plug in a theo price? I do like the position though.
 
Calculated this am with Optionvue's Theo price. We'll see in half an hour if it's possible. Good luck with yours - if you get a volty increase, do you plan to offset, or hedge vega, or something else?
 
Quote from optioncoach:

Also with all due respect to my buddies at ToS, the prices used in the analyzer are always off from the actuals for some reason. I would do analysis there in ToS and then when I looked at the chains, I could never get the net debit/credit they were modelling. Double check which prices they are using.
More...

Coach and others,

I think you can use ToS for a good estimation of your risk profile, but it won't be able to give you the exact graph.

Because the vol skew,
1. Assuming ATM vol doesn't change, and if price goes up, the otm call vol and otm put vol will both increase in value.
2. If pirce goes down, both your call vol and put vol will decrease in value. However since vix will increase, and so it will increase the vol for all options. The net effect is not known until we have a model

Any comments? Any suggestion for simple method to model or adjust the vol?
 
Quote from uglyboy:

Calculated this am with Optionvue's Theo price. We'll see in half an hour if it's possible. Good luck with yours - if you get a volty increase, do you plan to offset, or hedge vega, or something else?
More...

A vol spike, if juicy enough, may be hard to pass up for a quick profit :).
 
Coach:

You still have OptionVue don't you. How does the chart change when you model this in OptionVue?

Quote from optioncoach:

Also with all due respect to my buddies at ToS, the prices used in the analyzer are always off from the actuals for some reason. I would do analysis there in ToS and then when I looked at the chains, I could never get the net debit/credit they were modelling. Double check which prices they are using.
More...
 
With OptionVue I can enter the exact price for each leg where I believe I will get filled so it feels more realistic. I am sure the general chart shape will be the same, it just maybe off a bit due to pricing.

I will enter it in and see how it looks and post a pic.

Quote from rdemyan:

Coach:

You still have OptionVue don't you. How does the chart change when you model this in OptionVue?
More...
 
You must log in or register to reply here.
Back
Top